SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by wpatkinson
June 8th, 2020, 7:44 am
Forum: Book And Research Paper Forum
Topic: Bond Index Replication
Replies: 6
Views: 3187

Re: Bond Index Replication

Hi Bearish - yes that is what i am trying to do. I think i will start by going down the more simple matching route before the estimation route. However, i do think the estimation route will be where i end up.  Not wanting to ask too much - but can you point me in the direction of a relevant text on ...
by wpatkinson
June 8th, 2020, 7:39 am
Forum: Book And Research Paper Forum
Topic: Bond Index Replication
Replies: 6
Views: 3187

Re: Bond Index Replication

Hi Alan - thanks. I'll take a proper read through it now. It looks like a good starting point for how the securities are filtered for the benchmark indices.
by wpatkinson
June 6th, 2020, 10:50 am
Forum: Book And Research Paper Forum
Topic: Bond Index Replication
Replies: 6
Views: 3187

Re: Bond Index Replication

Hi bearish, thanks for the reply. the tool i'm trying to make is what a bond index ETF manager would use. firstly i want to be able to create a basket of bonds that replicates the index that the ETF tracks - for example the Invesco US HY Fallen Angels ETF that tracks the FTSE Time-weighted US Fallen...
by wpatkinson
June 5th, 2020, 1:09 pm
Forum: Book And Research Paper Forum
Topic: Bond Index Replication
Replies: 6
Views: 3187

Bond Index Replication

Hi All - 1st post to the forums. I am trying to build a bond index replication tool but am struggling to find any useful research papers or method explanations. I am considering using methods such as stratified sampling or PCA. However, having never implemented either method myself in practice i nee...
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